All-inorganic cesium lead halide perovskite CsPbX3 (X = Cl, Br, I) nanocrystals, as a new generation of low cost and direct band gap semiconductor materials, have attracted extensive attention of researchers owing to their outstanding photoluminescence (PL) performance, solution processability, and defect tolerance. Especially, this new emerged materials show arresting optoelectronic properties, such as high absorption coefficient, size- and composition-dependent tunable band gaps from the violet to near-infrared, extremely narrow full width at half-maximum, and high photoluminescence quantum yields (PLQY). Many potential optoelectronic applications have been demonstrated as illumination, energy, information storage and detection. In this review, we mainly focus on the related crystal structure characteristics of CsPbX3 nanocrystals, the various colloidal synthesis of monodisperse CsPbX3 nanocrystals including the high temperature hot-injection method, room-temperature recrystallization method, solvothermal method, droplet- based microfluidic method, postsynthetic halide anion exchange reaction, and so on. We also summarize the common strategies for efficiently controlling different morphology and size via controlling the temperature and the capping ligands. The related methods to enhance the stability are also summarized. In addition, we carefully conclude the optoelectronic device of CsPbX3 nanocrystals in white light-emitting diodes (WLEDs), electroluminescent light emitting diodes (LEDs), lasers especially in low-threshold amplified spontaneous emission, photodetectors, high-efficiency solar cells, and other optoelectronics fields. Finally, the existing problems and prospects are also provided in detail.